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成对非可分测量误差模型的识别AI 解读

This paper studies the paired nonseparable measurement error models, where two measurements, X and Y , are produced by mutually independent unobservables, U , V , and W , through the system, X = g ( U,V ) and Y = h ( U,W ). We propose restrictions to identify the marginal distribution of the common component U and the conditional distributions of X and Y given U . Applying this method to twin panel data, we find the following robust reporting patterns for years of education:…

联立方程模型中的可容许显著性检验AI 解读

Consider testing the null hypothesis that a single structural equation has specified coefficients. The alternative hypothesis is that the relevant part of the reduced form matrix has proper rank, that is, that the equation is identified. The usual linear model with normal disturbances is invariant with respect to linear transformations of the endogenous and of the exogenous variables. When the disturbance covariance matrix is known, it can be set to the identity, and the…

多工具变量或多回归变量下投影矩阵对角元素的渐近性质AI 解读

This article sheds light on the asymptotic behavior of diagonal elements of projection matrices associated with instruments or regressors under many instrument/regressor asymptotics. When the diagonal elements do not exhibit variation asymptotically, certain results in the many instrument/regressor literature lead to elegant solutions and conclusions. We establish conditions when this happens, provide relevant examples, and analyze instrument designs, for which this property…

动态条件相关模型的弱扩散极限AI 解读

The properties of dynamic conditional correlation (DCC) models, introduced more than a decade ago, are still not entirely known. This paper fills one of the gaps by deriving weak diffusion limits of a modified version of the classical DCC model. The limiting system of stochastic differential equations is characterized by a diffusion matrix of reduced rank. The degeneracy is due to perfect collinearity between the innovations of the volatility and correlation dynamics. For…

基于残差的 GARCH 自助法与二阶渐近改进AI 解读

The residual-based bootstrap is considered one of the most reliable methods for bootstrapping generalized autoregressive conditional heteroscedasticity (GARCH) models. However, in terms of theoretical aspects, only the consistency of the bootstrap has been established, while the higher order asymptotic refinement remains unproven. For example, Corradi and Iglesias (2008) demonstrate the asymptotic refinement of the block bootstrap for GARCH models but leave the results of…

使用线性分位数回归进行因果推断AI 解读

We show that the slope parameter of the linear quantile regression measures a weighted average of the local slopes of the conditional quantile function. Extending this result, we also show that the slope parameter measures a weighted average of the partial effects for a general structural function. Our results support the use of linear quantile regressions for causal inference in the presence of nonlinearity and multivariate unobserved heterogeneity. The same conclusion…

动态条件相关模型的平稳性AI 解读

We provide conditions for the existence and the uniqueness of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie’s (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. We also study the existence of their moments and discuss the tightness of our sufficient conditions.

尾部限制下的双成分混合模型推断AI 解读

Many econometric models can be analyzed as finite mixtures. We focus on two-component mixtures, and we show that they are nonparametrically point identified by a combination of an exclusion restriction and tail restrictions. Our identification analysis suggests simple closed-form estimators of the component distributions and mixing proportions, as well as a specification test. We derive their asymptotic properties using results on tail empirical processes and we present a…

未观测变量分布非参数化的离散选择动态规划模型识别AI 解读

This paper presents semiparametric identification results for the Rust (1994) class of discrete choice dynamic programming (DCDP) models. We develop sufficient conditions for identification of the deep structural parameters for the case where the per-period utility function ascribed to one choice in the model is parametric but the distribution of unobserved state variables is nonparametric. The proposed identification strategy does not rely on availability of the terminal…

用预滤波筛自助法修正半参数长记忆估计偏差AI 解读

This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, d , in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data prefiltered by a preliminary semiparametric estimate of the long memory parameter. Theoretical justification for using the bootstrap technique to bias adjust log periodogram and semiparametric local Whittle estimators of the memory parameter…

未知异方差下的自适应长记忆检验AI 解读

This paper considers adaptive hypothesis testing for the fractional differencing parameter in a parametric ARFIMA model with unconditional heteroskedasticity of unknown form. A weighted score test based on a nonparametric variance estimator is proposed and shown to be asymptotically equivalent, under the null and local alternatives, to the Neyman-Rao effective score test constructed under Gaussianity and known variance process. The proposed test is therefore asymptotically…

离散观测下有限参数连续时间模型的识别限制AI 解读

This paper revisits the question of parameter identification when a linear continuous time model is sampled only at equispaced points in time. Following the framework and assumptions of Phillips (1973), we consider models characterized by first-order, linear systems of stochastic differential equations and use a priori restrictions on the model parameters as identifying restrictions. A practical rank condition is derived to test whether any particular collection of at least $\left\lfloor {n/2} \right\rfloor$…

截面与面板数据中的格兰杰因果和结构因果AI 解读

Granger noncausality in distribution is fundamentally a probabilistic conditional independence notion that can be applied not only to time series data but also to cross-section and panel data. In this paper, we provide a natural definition of structural causality in cross-section and panel data and forge a direct link between Granger ( G –) causality and structural causality under a key conditional exogeneity assumption. To put it simply, when structural effects are well…

积分波动率及相关过程的有效估计AI 解读

We derive nonparametric efficiency bounds for regular estimators of integrated smooth transformations of instantaneous variances, in particular, integrated power variance. We find that realized variance attains the efficiency bound for integrated variance under both regular and irregular sampling schemes. For estimating higher powers such as integrated quarticity, the block-based procedures of Mykland and Zhang (2009) can get arbitrarily close to the nonparametric bounds,…

乘法误差模型的设定检验AI 解读

The family of multiplicative error models is important for studying non-negative variables such as realized volatility, trading volume, and duration between consecutive financial transactions. Methods are developed for testing the parametric specification of a multiplicative error model, which consists of separate parametric models for the conditional mean and the error distribution. The same method can also be used for testing the specification of the error distribution…

利用特征函数的有效估计AI 解读

The method of moments procedure proposed by Carrasco and Florens (2000) permits full exploitation of the information contained in the characteristic function and yields an estimator which is asymptotically as efficient as the maximum likelihood estimator. However, this estimation procedure depends on a regularization or tuning parameter α that needs to be selected. The aim of the present paper is to provide a way to optimally choose α by minimizing the approximate mean…

同一记录时点存在多笔交易时的波动率泛函估计AI 解读

The phenomenon of multiple transactions at each recording time is a common occurrence for high-frequency financial data because of the heavy trading of the market and limitation of the recording mechanism. This situation has existed for many years, but has become more common in recent years because of heavier trading. Surprisingly, there have been few studies on this important issue, in spite of some ad hoc approaches to treat multiple transactions. In this paper we…

多元 Copula 时间序列模型的拟合优度检验AI 解读

In recent years, stationary time series models based on copula functions became increasingly popular in econometrics to model nonlinear temporal and cross-sectional dependencies. Within these models, we consider the problem of testing the goodness-of-fit of the parametric form of the underlying copula. Our approach is based on a dependent multiplier bootstrap and it can be applied to any stationary, strongly mixing time series. The method extends recent i.i.d. results by…

线性面板模型共同变点的 CUSUM 估计量渐近性质AI 解读

We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the cross-sectional units in the form of a common factor. A CUSUM type estimator is proposed, and we establish first and second order asymptotics that can be used to derive consistent confidence intervals for the time of change. Our results improve upon existing theory in two primary directions. Firstly, the conditions we impose on the…

非参数删失分位数回归的一致 Bahadur 表示：质量再分配方法AI 解读

Censored quantile regressions have received a great deal of attention in the literature. In a linear setup, recent research has found that an estimator based on the idea of “redistribution-of-mass” in Efron (1967, Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability , vol. 4, pp. 831–853, University of California Press) has better numerical performance than other available methods. In this paper, this idea is combined with the local…

异质性与工具变量测量误差下的工具变量方法AI 解读

We study the consequences of substituting an error-laden proxy W for an instrument Z on the interpretation of Wald, local instrumental variable (LIV), and instrumental variable (IV) estimands in an ordered discrete choice structural system with heterogeneity. A proxy W need only satisfy an exclusion restriction and that the treatment and outcome are mean independent from W given Z . Unlike Z , W need not satisfy monotonicity and may, under particular specifications, fail…

工具变量分位数回归的平滑估计方程AI 解读

The moment conditions or estimating equations for instrumental variables quantile regression involve the discontinuous indicator function. We instead use smoothed estimating equations (SEE), with bandwidth h . We show that the mean squared error (MSE) of the vector of the SEE is minimized for some h > 0, leading to smaller asymptotic MSE of the estimating equations and associated parameter estimators. The same MSE-optimal h also minimizes the higher-order type I error of a…

协方差矩阵假设的不变检验功效AI 解读

The behavior of the power function of autocorrelation tests such as the Durbin–Watson test in time series regressions or the Cliff-Ord test in spatial regression models has been intensively studied in the literature. When the correlation becomes strong, Krämer (1985, Journal of Econometrics 28, 363–370.) (for the Durbin–Watson test) and Krämer (2005, Journal of Statistical Planning and Inference , 128, 489–496) (for the Cliff-Ord test) have shown that power can be very low,…

具有交互固定效应的动态线性面板回归AI 解读

We analyze linear panel regression models with interactive fixed effects and predetermined regressors, for example lagged-dependent variables. The first-order asymptotic theory of the least squares (LS) estimator of the regression coefficients is worked out in the limit where both the cross-sectional dimension and the number of time periods become large. We find two sources of asymptotic bias of the LS estimator: bias due to correlation or heteroscedasticity of the…